My kitties love them, too. I just have to make sure they can't get at any plastic bags when I'm not right there to watch them. A cat can die of strangulation or suffocation just as quickly as a child can.
Hiding the bags isn't as easy as it sounds. I've found a giant plastic bag in the middle of the living room that they had somehow managed to pull out from under the pantry door.
Mostly I put them in the garbage can as soon as the kitties are through with them.